Estimation of real-world market probabilities by the Ross recovery theorem
Ross (2015) developed a recovery theorem with the aim to recover the physical probability distribution merely based on the option prices and discover the forward-looking content from the recovery. There have been studies that intensively discuss the possible extensions and robustness of this theorem...
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2022
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sg-ntu-dr.10356-1569182023-02-28T23:13:01Z Estimation of real-world market probabilities by the Ross recovery theorem Liu, Bingyu Nicolas Privault School of Physical and Mathematical Sciences NPRIVAULT@ntu.edu.sg Science::Mathematics::Applied mathematics::Simulation and modeling Ross (2015) developed a recovery theorem with the aim to recover the physical probability distribution merely based on the option prices and discover the forward-looking content from the recovery. There have been studies that intensively discuss the possible extensions and robustness of this theorem, some of which criticize its practicality. This thesis intends to build an algorithm based on the framework suggested by Jackwerth and Menner (2020) and explores its application on S&P 500 European call options. The results resembles what are presented in Jackwerth and Menner (2020). Bachelor of Science in Mathematical Sciences and Economics 2022-04-27T08:23:03Z 2022-04-27T08:23:03Z 2022 Final Year Project (FYP) Liu, B. (2022). Estimation of real-world market probabilities by the Ross recovery theorem. Final Year Project (FYP), Nanyang Technological University, Singapore. https://hdl.handle.net/10356/156918 https://hdl.handle.net/10356/156918 en application/pdf Nanyang Technological University |
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Science::Mathematics::Applied mathematics::Simulation and modeling Liu, Bingyu Estimation of real-world market probabilities by the Ross recovery theorem |
| description |
Ross (2015) developed a recovery theorem with the aim to recover the physical probability distribution merely based on the option prices and discover the forward-looking content from the recovery. There have been studies that intensively discuss the possible extensions and robustness of this theorem, some of which criticize its practicality. This thesis intends to build an algorithm based on the framework suggested by Jackwerth and Menner (2020) and explores its application on S&P 500 European call options. The results resembles what are presented in Jackwerth and Menner (2020). |
| author2 |
Nicolas Privault |
| author_facet |
Nicolas Privault Liu, Bingyu |
| format |
Final Year Project |
| author |
Liu, Bingyu |
| author_sort |
Liu, Bingyu |
| title |
Estimation of real-world market probabilities by the Ross recovery theorem |
| title_short |
Estimation of real-world market probabilities by the Ross recovery theorem |
| title_full |
Estimation of real-world market probabilities by the Ross recovery theorem |
| title_fullStr |
Estimation of real-world market probabilities by the Ross recovery theorem |
| title_full_unstemmed |
Estimation of real-world market probabilities by the Ross recovery theorem |
| title_sort |
estimation of real-world market probabilities by the ross recovery theorem |
| publisher |
Nanyang Technological University |
| publishDate |
2022 |
| url |
https://hdl.handle.net/10356/156918 |
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1759854237025566720 |